This study seeks to examine the interaction between interest rates, monetary aggregate (M1), exchange rates, inflation, foreign direct investment and stock market returns in two emerging countries, namely Mexico and Brazil. The study determines the response of stock returns to a shock in each of these macroeconomic variables. A Panel VAR approach is used to establish the relationship between stock returns and the macroeconomic variables. Empirical results of the regression model reveal that foreign direct investment shows a significant relationship with stock returns. IRF observation shows that for emerging countries the interest rate, the inflation rate and the FDI response on stock prices is positive and significant over the short run and long run. However, exchange rates respond negatively and significantly to stock prices during a short period. We note that the monetary aggregate response to stock prices is negative and significant during a long period.